Related papers: Intertemporal Cost-efficient Consumption
In this note, we study distributed time-varying optimization for a multi-agent system. We first focus on a class of time-varying quadratic cost functions, and develop a new distributed algorithm that integrates an average estimator and an…
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black-Scholes market.…
The objective of this study is to understand the different behavioral considerations that govern the choice of people to engage in a crowd-shipping market. Using novel data collected by the researchers in the US, we develop…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
Considering non-stationary environments in online optimization enables decision-maker to effectively adapt to changes and improve its performance over time. In such cases, it is favorable to adopt a strategy that minimizes the negative…
We consider a discrete-time version of the popular optimal dividend pay-out problem in risk theory. The novel aspect of our approach is that we allow for a risk averse insurer, i.e., instead of maximising the expected discounted dividends…
We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do this by splicing…
Fintech lending has become a central mechanism through which digital platforms stimulate consumption, offering dynamic, personalized credit limits that directly shape the purchasing power of consumers. Although prior research shows that…
Robust mechanism design is a rising alternative to Bayesian mechanism design, which yields designs that do not rely on assumptions like full distributional knowledge. We apply this approach to mechanisms for selling a single item, assuming…
This study investigates an optimal consumption--investment problem in which the unobserved stock trend is modulated by a hidden Markov chain that represents different economic regimes. In the classical approach, the hidden state is…
Different investment strategies are adopted in short-term and long-term depending on the time scales, even though time scales are adhoc in nature. Empirical mode decomposition based Hurst exponent analysis and variance technique have been…
This note proposes a distributed model predictive control (DMPC) scheme with switched cost functions for a class of spatially interconnected systems with communication constraints. Non-iterative and parallel communication strategy is…
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market. The paper has…
The nexus between debt and inequality has attracted considerable scholarly attention in the wake of the global financial crisis. One prominent candidate to explain the striking co-evolution of income inequality and private debt in this…
Many machine learning applications require operating on a spatially distributed dataset. Despite technological advances, privacy considerations and communication constraints may prevent gathering the entire dataset in a central unit. In…
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the…
Time-varying stochastic optimization problems frequently arise in machine learning practice (e.g. gradual domain shift, object tracking, strategic classification). Although most problems are solved in discrete time, the underlying process…
We analyze the long term behavior of interacting populations which can be controlled through harvesting. The dynamics is assumed to be discrete in time and stochastic due to the effect of environmental fluctuations. We present extinction…
This survey reviews recent developments in revealed preference theory. It discusses the testable implications of theories of choice that are germane to specific economic environments. The focus is on expected utility in risky environments;…
This study addresses the difficulties associated with inventory management of products with stochastic demand. The objective is to find the optimal combination of order quantity and reorder point that maximizes profit while considering…